Accurately Estimating and Building the Yield Curve

Presentation for Risk Magazine Yield Curve Course, October 1999. Using methodology from “Fitting Forward Rates to Market Data,” discusses the general approach to fitting the yield curve, mathematics of yield and forward curves, a simple example, use of and criteria for curves, choice of input data, and various functional forms.

About Thomas Coleman

Thomas S. Coleman is Senior Advisor at the Becker Friedman Institute for Research in Economics and Adjunct Professor of Finance at the Booth School of Business at the University of Chicago. Prior to returning to academia, Mr. Coleman worked in the finance industry for more than twenty years with considerable experience in trading, risk management, and quantitative modeling. Mr. Coleman earned a PhD in economics from the University of Chicago and a BA in physics from Harvard College.